Robust and sparse multinomial regression in high dimensions

DOI10.1007/S10618-023-00936-6MaRDI QIDQ6170400zbMATH OpenOpenAlexFDO

Authors Fatma Sevinç Kurnaz, P. Filzmoser

Publication date 10 August 2023

Published in Data Mining and Knowledge Discovery (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2205.11835

zbMATH Keywords

C-step algorithmelastic net penaltyhigh dimensional dataleast trimmed squaresmultinomial regression

Mathematics Subject Classification ID

Generalized linear models (logistic models) (62J12)

Abstract: A robust and sparse estimator for multinomial regression is proposed for high dimensional data. Robustness of the estimator is achieved by trimming the observations, and sparsity of the estimator is obtained by the elastic net penalty, which is a mixture of $L_1$ and $L_2$ penalties. From this point of view, the proposed estimator is an extension of the enet-LTS estimator citep{Kurnaz18} for linear and logistic regression to the multinomial regression setting. After introducing an algorithm for its computation, a simulation study is conducted to show the performance in comparison to the non-robust version of the multinomial regression estimator. Some real data examples underline the usefulness of this robust estimator.

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Cited in

(5)

• Sparse consistency and smoothing for multinomial data
• Robust Coordinate Descent Algorithm Robust Solution Path for High-dimensional Sparse Regression Modeling
• Robustness in sparse high-dimensional linear models: relative efficiency and robust approximate message passing
• Efficient Robbins–Monro procedure for multivariate binary data
• Debiased transfer learning estimation and inference for multinomial regression

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